scientific article; zbMATH DE number 1538078

zbMATH Open0961.62093MaRDI QIDQ4518941FDOQ4518941

Authors: Alpha Sylla, Christophe Villa 

Publication date: 5 June 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

option pricingprincipal components analysisstochastic volatilityvalue-at-riskimplied volatilityBlack-Scholes formula

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (6)

• Dynamics of implied volatility surfaces
• The dynamics of implied volatilities: a common principal components approach
• Modeling volatility risk in equity options market: a statistical approach
• Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm
• Semiparametric modeling of implied volatility.
• The dynamics of the S\&P 500 implied volatility surface

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